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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Haindorf Seminar 2020

21.01 - 25.01.2020

Hejnice, Czech Republic

 

Organization and Contact Information

Wolfgang Härdle
Konstantin Häusler

Humboldt University of Berlin
Faculty of Economics
Ladislaus von Bortkiewicz Chair of Statistics
Spandauer Str. 1
10178 Berlin, Germany
 

doc. PhDr. Jozef Baruník, Ph.D.
Associate Professor
Department of Macroeconomics and Econometrics
Institute of Economic Studies, Faculty of Social Sciences
Charles University
Opletalova 26
110 00 Prague, Czech Republic

 
Phone: +49 - 30 - 2093 99469
E-mail:

irtg1792.wiwi@hu-berlin.de

barunik@fsv.cuni.cz

hujunjie@hu-berlin.de

haeuslek@hu-berlin.de

 

 

IRTG Short Course

Commodity Markets: Risk Management and Forecasting

Andrew Vivian (Loughborough University / UK)

website

 

E-mail:  A.J.Vivian@lboro.ac.uk
  poster 

 

IRTG Short Course

TVP VAR estimation in high dimensional settings

Michael Ellington (University of Liverpool/ UK)

website

 

E-mail: 

M.Ellington@liverpool.ac.uk

  poster 

 

 

IRTG Guest Talk

Blockchain and Sustainability

Simon Schillebeeckx (Singapur Management University)

website

 

E-mail:

simon@smu.edu.sg

   

 

Location and Trip Tips

 

Venue: International Center for Spiritual Rehabilitation
Address: Klasterni 1, 463 62 HEJNICE, Czech Republic
More information about the location

Skiing at Jested

Excursion to the nearby church and tombs of Hejnice
 

 

 

Participants

HUB

 

Wolfgang Härdle

 

Anna Shchekina

Bruno Spilak

Danial Saef

Daniel Jacob

Elizaveta Zinovyeva

Francis Liu

Konstantin Häusler

Kainat Khowaia

Lili Matic

Marius Sterling 

Michael Althof

Min-Bin Lin

Niels Wesselhöft

Vanessa Guarino

Xinwen Ni

Raphael Reule

 

 

University of Liverpool

 

Michael Ellington

 

Singapur Management University

 

Simon Schillebeeckx

 

University of Rijeka

 

Maria Culjak

Charles University Prague

 

Jozef Baruník 

František Čech 

Luboš Hanus 

Martin Hronec 

Miloš Kopa

Josef Kurka 

Karel Kozmík 

Matěj Nevrla 

Kamonchai

Lukáš Vácha 

 

 

 

Chinese Academy of Sciences, PRC

 

Rui Ren

 

 

Xiamen University

 

Yanfen Zhang

 

Loughborough University

 

Andrew Vivian

 

Schedule

 

 

Note for Time Slot Arrangement:

 

The time slot for every regular-talk is 30-minute = a 25-minute presentation + a 5-minute discussion.

 

The time slot for every short-talk is 15-minute = a 10-minute presentation + a 5-minute discussion.

 

Each discussion will be led by an audience chosen randomly. (Everyone has a chance to give his/her opinion)

 

 

 

Day

Time

 

Speaker

title

Tuesday
(21.01.2020)

13:30

 

Arrival

13:30-

14:30

  Lunch and Check-In

1st session, Chair: Wolfgang Härdle

14: 30-15: 00

 

Michael Althof

FRM: Macroeconomical Risk Factors

15: 00-15: 30  

Rui Ren

FRM in Expectile

15: 30-16: 00   Raphael Reule Smart Derivative Contracts

16: 00-16: 30

 

Coffee break

2nd session, Chair: Xinwen Ni

16: 30-17: 00

 

Yanfen Zhang

Co-Integration in Crypto Realm

17: 00- 17: 30

 

Bruno Spilak

Tail-risk protection: MLvsGARCH

  17: 30-18: 00   Francis Liu Word Embeddings
  18: 10-18: 20   IRTG 1792 Internal Meeting
R2, XN, AS, VG, MS, EZ, MBL, K2, KH, FL, REN
 

18: 30-

20:00

  Dinner

 

Wednesday (22.01.2020)

1st session, Chair: František Čech

09: 00-09: 30

 

Marius Sterling

Forecasting Prices for LOB Data with Neural Networks

09: 30-10: 00

 

Luboš Hanus

Dynamic Density Forecasting Using Machine Learning

10: 00-10: 30

 

Elizaveta Zinovyeva

Antisocial Online Behavior Detection Using Deep Learning

10: 30-11: 00

 

Coffee break

2nd Session, Chair: Bruno Spilak

11: 00-11: 30

 

Matěj Nevrla

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices

11: 30-12: 00

 

Martin Hronec

Asset Pricing with Quantile Machine Learning

12: 00-12: 30

 

Xinwen Ni

Regulatory Risk Analysis of Cryptocurrency Market

12: 30-14: 30

 

Discussion / Lunch Break

3rd session, Chair: Jozef Barunik

14: 30-16: 00

 

Short course - Mike Ellington (Pt.1)

16: 00-16: 30

 

Coffee break

4th session

16: 30-18: 00

 

Short course - Mike Ellington (Pt.2)

18: 30-20: 00

 

Dinner

 

Thursday
(23.01.2020)

08: 00-14: 00

 

Optional activities

1st Session, Chair: Wolfgang Härdle

14:00-

14:30

  Guest Talk  - Simon Schillebeeckx

14: 30-16: 00

 

Short course - Andrew Vivian (Pt.1)

 

16: 00-16: 30

 

Coffee break

 

2nd Session

16: 30-18: 00

 

Short course - Andrew Vivian (Pt.2)

18: 30-20: 00

 

Dinner

 

Friday (24.01.2020)

 

 

1st Session, Chair: Niels Wesselhöft

09: 00-09: 30

 

Maria Culjak

Predictive Accuracy Analysis of Option Pricing Models Using High Frequency Data

09: 30-10: 00

 

Daniel Jacob

Group Average Treatment Effects for Observational Studies

10: 00-10: 30

 

Josef Kurka

Horizon-specific Risk, Higher Moments and Asset Prices

10: 30-11: 00

 

Coffee break

2nd Session, Chair: Daniel Jacob

11: 00-11: 20

 

Danial Saef

Jump Processes in High Frequency Time Series

11: 20-11: 40

 

Kamonchai

Impact of Google Trends on Portfolio Optimization

11:40-

12:00

  Niels Wesselhöft The Kelly Criterion

12: 00-14: 30

 

Discussion / Lunch Break

3rd Session, Chair: Elizaveta Zinovyeva

14: 30-15: 00

 

Karel Kozmik

Using Machine Learning to Predict Optimal Parameters in Portfolio Optimization

15: 00-15: 30

 

Lili Matic

Valuation and Risk Management of Cryptocurrencies

15: 30-16: 00

 

Kainat Khowaia

Spectral Clustering

16: 00-16: 30

 

Coffee break

4th session, Chair: Lili Matic

16: 30-17: 00

 

Min-Bin Lin

Extractive Summarization - A General Review

17: 00-17: 30

 

Vannessa Guarino/

Anna Shchekina

Sentiment-driven Cryptocurrency Market Analysis

17: 30-18: 00

 

Konstantin Häusler

Explaining the Dynamics of House Prices by Social Indicators

18: 30-20: 00

 

Dinner

 

Saturday
(25.01.2020)

09:00

 

Departure